CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0580	19.09***
α ARCH Response to squared shocks	0.0504	18.39***
β GARCH Volatility persistence	0.8466	237.80***
γ leverage Additional response to negative shocks	0.1275	17.85***

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Oslo Stock Exchange All Share Index GJR-GARCH Volatility Analysis

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